The riskless rate is constant and equals to rf = 2%. The market risk premium is 10%. The standard deviation of the market portfolio is 12% (i) The expected return to any stock that has a beta of 0.7 is 9%. (ii) An investor lends 30% of his wealth at the riskless rate and buys the market portfolio with the remainder of his wealth. His beta is 0.3. (iii) The idiosyncratic risk of a portfolio consisting of the riskless asset and market portfolio with a portfolio beta of 0.3 equals zero. Which of the above is a correct statement? Show why or why not.